Robust regression credibility: The influence function approach

DOI10.1016/J.INSMATHECO.2007.03.002MaRDI QIDQ939364zbMATH OpenOpenAlexFDO

Authors Georgios Pitselis

Publication date 22 August 2008

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.insmatheco.2007.03.002

zbMATH Keywords

influence functionm-estimatorsportfolio unbiasednesspure robust estimationrobust regression credibility

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Recommendations

• A review on robust estimators applied to regression credibility
• Applying robust scale \(M\)-estimators to compute creditability premiums in the large claim case.
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• Large claims in credibility
• De Vylder's robust nonlinear regression credibility

Cites work

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• A class of robust and fully efficient regression estimators
• Applying robust regression to insurance
• Asymptotic behavior of general M-estimates for regression and scale with random carriers
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• High breakdown-point and high efficiency robust estimates for regression
• Influence Functions of Iteratively Reweighted Least Squares Estimators
• Influence functionals for time series (with discussion)
• Large claims in credibility
• Least Median of Squares Regression
• Robust Estimation of a Location Parameter
• Robust Statistics
• Robust estimation for linear regression with asymmetric errors
• Robust estimation of variance components

Cited in

(10)

• A review on robust estimators applied to regression credibility
• Pure robust versus robust portfolio unbiased -- credibility and asymptotic optimality
• Applying robust scale \(M\)-estimators to compute creditability premiums in the large claim case.
• Robust and efficient methods for credibility when claims are approximately gamma-distributed
• An effect of inflation illustrated by introducing a regression technique
• Credibility theory based on winsorizing
• Bayesian robustness of the compound Poisson distribution under bidimensional prior: an application to the collective risk model
• Multi-stage nested classification credibility quantile regression model
• Robust-efficient credibility models with heavy-tailed claims: a mixed linear models perspective
• De Vylder's robust nonlinear regression credibility

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